San Andreas & Vice City
Even although not as common as most sea creatures, sharks can be spotted in the waters of San Andreas and Vice City, mostly in the San Fierro Bay in San Andreas and everywhere in the waters of Vice City, and in both games they can sometimes be mistaken by dolphins. They do not take damage when shot at, and like other marine animals in GTA San Andreas and Vice City, they don't move when they swim.
The easiest way to spot a shark is to just search the water for it, preferably through a Sniper Rifle. They however do not appear as frequently as other marine animals. There is a frequent myth which claims sharks attack players, yet this is wrong. Like other marine animals, sharks don't attack the player, and as a matter of fact they swim away when approached.
Sharks are also mentioned in the 10th page of the GTA Vice City manual:
"Shark attacks off Vice City happen a few times a year and there are more sharks out there than you would like to think - Best advice: Stay out of the water!"
This might suggest that sharks could have been used as an excuse for the player's inability to swim in Vice City.